Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0035 |
| Annualized Std Dev | 0.2236 |
| Annualized Sharpe (Rf=0%) | 0.0155 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3349.0000 |
| NAs | 1.0000 |
| Minimum | -0.2598 |
| Quartile 1 | -0.0041 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0051 |
| Maximum | 0.1744 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0141 |
| Skewness | -1.3647 |
| Kurtosis | 57.2732 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0106 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0135 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.5532 |
| Historical VaR (95%) | -0.0178 |
| Historical ES (95%) | -0.0352 |
| Modified VaR (95%) | -0.0117 |
| Modified ES (95%) | -0.0117 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-05-08 | 2020-03-18 | NA | -0.5532 | 1982 | 1728 | NA |
| 2007-12-20 | 2009-03-09 | 2010-07-07 | -0.5036 | 640 | 305 | 335 |
| 2011-04-29 | 2011-10-04 | 2012-09-10 | -0.1902 | 345 | 110 | 235 |
| 2010-11-05 | 2010-12-13 | 2011-03-03 | -0.1028 | 81 | 26 | 55 |
| 2012-10-09 | 2012-11-14 | 2013-02-13 | -0.0895 | 86 | 25 | 61 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | -0.4 | -0.4 |
| 2008 | -0.7 | 0.5 | 1.9 | -0.2 | -0.3 | 0 | 0.8 | 1.9 | 0.3 | 7.1 | -4.7 | 0.4 | 6.7 |
| 2009 | 2.1 | -1.6 | 0.1 | 0.8 | 0.9 | 1 | 0.4 | -0.2 | -1.6 | -0.8 | 1 | 0.1 | 2.3 |
| 2010 | 0.6 | -0.3 | 0.7 | 0.9 | 0.7 | 0.9 | 0 | 0.2 | 0.4 | 0.1 | -1.4 | 0.4 | 3.1 |
| 2011 | 0.5 | 0.9 | -0.5 | -1.9 | -0.4 | -0.2 | 2.4 | 0.3 | -3.7 | -0.7 | -0.7 | -0.3 | -4.2 |
| 2012 | 0.2 | 0.2 | -0.5 | 0.6 | -1.1 | 0.1 | -0.2 | 0 | 0.3 | 0.7 | -0.9 | -0.5 | -1.2 |
| 2013 | -0.1 | 0.4 | 0 | -0.3 | -0.4 | 0.5 | -0.4 | 0.3 | 0.2 | -0.5 | 0.8 | 0 | 0.3 |
| 2014 | 0.1 | -0.7 | -0.5 | 0.2 | -0.2 | -0.3 | -1.3 | 0.4 | -0.3 | 0.1 | 0.1 | 1.2 | -1.4 |
| 2015 | -0.8 | 0.2 | 0.5 | 0.5 | 0.2 | 0.8 | 0.5 | 0.2 | -0.7 | 0.3 | -0.3 | -0.3 | 0.8 |
| 2016 | 0.1 | 1 | -0.2 | -0.3 | 0.4 | 0.6 | -0.1 | -0.4 | 0 | -0.2 | -0.6 | 0.3 | 0.6 |
| 2017 | 0.7 | 0.5 | 0 | 0.7 | 0.6 | 0.1 | -1.9 | -0.4 | 0.5 | -0.5 | 0.9 | 0.3 | 1.7 |
| 2018 | -0.3 | 0 | -0.3 | 0.8 | -0.6 | -0.4 | 0.6 | 0.4 | -0.5 | 1 | 1.3 | 0.6 | 2.5 |
| 2019 | 0.3 | 0.3 | 0.5 | 0.9 | -0.8 | 0.1 | 0.6 | 0 | -0.1 | 0.2 | 0 | 0.7 | 2.7 |
| 2020 | -0.2 | -5.9 | -9 | -3.1 | 1.1 | 0.3 | 0.7 | 1.6 | 0.1 | -0.4 | 1.1 | 0.4 | -13.1 |
| 2021 | 0.7 | 1.5 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-11-28 25.0 SPY 147. 3.20e-2 0.0172 -0.0454 0.004 0.0629 0.243 0.574 GLD 79.6 -0.0066 0.0013
2 2007-11-29 25.0 SPY 147. 3.00e-4 0.0388 -0.0384 0.007 0.0587 0.249 0.605 GLD 78.3 -0.0162 -0.0136
3 2007-11-30 25.0 SPY 149. 1.01e-2 0.0314 -0.0387 0.0072 0.0583 0.261 0.577 GLD 77.3 -0.0123 -0.0484
4 2007-12-03 25 SPY 148. -6.60e-3 0.0477 -0.0222 -0.0094 0.0509 0.239 0.571 GLD 78.3 0.0124 -0.0371
5 2007-12-04 25 SPY 146. -8.90e-3 0.0266 -0.032 -0.0097 0.0438 0.226 0.555 GLD 79.4 0.0143 -0.0087
6 2007-12-05 25 SPY 149. 1.67e-2 0.0114 -0.0083 0.0046 0.0532 0.248 0.602 GLD 78.6 -0.0097 -0.0118
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
